Correlation Between Calamos Growth and First Eagle

Can any of the company-specific risk be diversified away by investing in both Calamos Growth and First Eagle at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Calamos Growth and First Eagle into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Calamos Growth Fund and First Eagle Overseas, you can compare the effects of market volatilities on Calamos Growth and First Eagle and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Calamos Growth with a short position of First Eagle. Check out your portfolio center. Please also check ongoing floating volatility patterns of Calamos Growth and First Eagle.

Diversification Opportunities for Calamos Growth and First Eagle

-0.71

Correlation Coefficient

Calamos Growth  First Eagle

Pay attention - limited upside

The 3 months correlation between Calamos and First is -0.71. Overlapping area represents the amount of risk that can be diversified away by holding Calamos Growth Fund and First Eagle Overseas in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on First Eagle Overseas and Calamos Growth is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Calamos Growth Fund are associated (or correlated) with First Eagle. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of First Eagle Overseas has no effect on the direction of Calamos Growth i.e., Calamos Growth and First Eagle go up and down completely randomly.

Pair Corralation between Calamos Growth and First Eagle

Assuming the 90 days horizon Calamos Growth Fund is expected to generate 0.87 times more return on investment than First Eagle. However, Calamos Growth Fund is 1.15 times less risky than First Eagle. It trades about 0.22 of its potential returns per unit of risk. First Eagle Overseas is currently generating about -0.12 per unit of risk. If you would invest  4,328  in Calamos Growth Fund on September 14, 2024 and sell it today you would earn a total of  580.00  from holding Calamos Growth Fund or generate 13.4% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

Calamos Growth Fund  vs.  First Eagle Overseas

Calamos Growth

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Calamos Growth Fund are ranked lower than 17 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Calamos Growth showed solid returns over the last few months and may actually be approaching a breakup point.

First Eagle Overseas

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days First Eagle Overseas has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Calamos Growth and First Eagle

The main advantage of trading using opposite Calamos Growth and First Eagle positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Calamos Growth position performs unexpectedly, First Eagle can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in First Eagle will offset losses from the drop in First Eagle's long position.

The idea behind Calamos Growth Fund and First Eagle Overseas pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.